Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (Q255503)
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scientific article; zbMATH DE number 6552477
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| English | Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing |
scientific article; zbMATH DE number 6552477 |
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Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing (English)
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9 March 2016
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employee stock options
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incomplete market
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value function
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HJB equation
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constrained viscosity solution
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optimal control
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numerical simulation
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